Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood is allowed to dominate and information in the data is weak. This latter feature occurs frequently in empirical econometric analysis. Well-known cases are: instrumental variable models with weak instruments like the income-education models; vector autoregressive models with c...

The Great Depression is to economics what the Big Bang is to physics. As an event, the Depression is largely synonymous with the birth of modern macroeconomics, and it continues to haunt successive generations of economists. With respect to labor and labor markets, these facts evidently include wage rigidity, persistently high unemployment rates, and long-term joblessness. Traditionally, aggreg...

We discuss computational aspects of likelihood-based speci cation, estimation, inference, and forecasting of possibly nonstationary series with long memory. We use the arfima(p; d; q) model with deterministic regressors and we compare sampling characteristics of approximate and exact rst-order asymptotic methods. We extend the analysis using a higher-order asymptotic method, suggested by Cox an...

This paper investigates whether the inherent non-stationarity of macroeconomic time series is entirely due to a random walk or also to non-linear components. Applying the numerical tools of the analysis of dynamical systems to long time series for the US, we reject the hypothesis that these series are generated solely by a linear stochastic process. Contrary to the Real Business Cycle theory th...

1 Centro de Investigación y Docencia Económicas (CIDE), División de Economı́a, Carretera México-Toluca 3655 Col. Lomas de Santa Fe, Delegación Álvaro Obregón, México 01210, Mexico 2 Center for Research in Econometric Analysis of Time Series (CREATES) and Department of Economics and Business, Aarhus University, Fuglesangs Allé 4, Building 2622 (203), Aarhus V 8210, Denmark; E-Mail: vrodriguez@cre...